On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion

DOI10.1016/J.SPL.2015.11.013zbMATH Open1384.62073arXiv1507.07180OpenAlexW2963261809MaRDI QIDQ899656FDOQ899656

V. Skorniakov, K. Kubilius

Publication date: 30 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Strongly consistent and asymptotically normal estimators of the Hurst parameter of solutions of stochastic differential equations are proposed. The estimators are based on discrete observations of the underlying processes.

Full work available at URL: https://arxiv.org/abs/1507.07180

zbMATH Keywords

stochastic differential equationfractional Brownian motionHurst index

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (15)

• Local estimation of the Hurst index of multifractional Brownian motion by increment ratio statistic method
• Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion
• Nonparametric estimation in fractional SDE
• Baxter estimates of the Hurst parameter of fractional Brownian motion
• Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion
• Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift
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• Asymptotic inference for stochastic differential equations driven by fractional Brownian motion
• Parameter estimation for fractional diffusion process with discrete observations
• On optimal scale upper bound in wavelet-based estimation for hurst index of fractional Brownian motion
• Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
• On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
• Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts
• CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index
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